Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156568 | Stochastic Processes and their Applications | 2014 | 26 Pages |
Abstract
In this paper we provide existence and uniqueness results for the solution of BSDEs driven by a general square-integrable martingale under partial information. We discuss some special cases where the solution to a BSDE under restricted information can be derived by that related to a problem of a BSDE under full information. In particular, we provide a suitable version of the Föllmer–Schweizer decomposition of a square-integrable random variable working under partial information and we use this achievement to investigate the local risk-minimization approach for a semimartingale financial market model.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Claudia Ceci, Alessandra Cretarola, Francesco Russo,